Most entrepreneurs I know have no problem with goal setting - at least they think they are good at it. In fact, most entrepreneurs I know have a ton of goals. Their challenge comes down to two things - prioritization and manageable goals.
Prioritizing your goals will allow you know which goal to work on first. What's the easiest way to prioritize your goals? Run a tournament. It's March Madness time, so this should be an easy concept. Set your goals up in brackets and have two goals "compete" against one another. Decide which goal would be more satisfying to have complete. That's your winner. Keep doing this until you have your top goal and start working on it.
As for manageable goals - the key is to break you goals down to smaller chunks. If you have a revenue goal of $100,000, it may be easier to set a smaller goal of generating $10,000 or $5,000. If you can figure out how to generate $5,000 once, you can repeat the process.
Another key to breaking your goal down is to make sure you understand the connection between your smaller goal and what you are really trying to accomplish. This can be a big challenge. Going back to our example - You really want to generate $100,000, not $5,000 - so you have to make sure you identify your motivation for generating $5,000. Without identifying this - you're bound to hit a road bump in your goal and without the motivation to continue, you'll likely give up.
Make sure the motivation taps into your emotion. Why do you really want to generate $5,000? Get passionate about it - as if it were the most important goal of the year. You'll have your motivation and you'll probably be ready to get started. Don't delay - get moving.
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